Essays in Religio-Sustainable Financial Markets

This thesis is composed of three essays regarding religio-sustainable financial markets and focuses mainly on integration, diversification, and systemic risk. In particular, we first constructed a religio-sustainable index that combines both sustainability screening in ad- dition to religious screening criteria and investigated and compared with the conventional S&P 500 index the local correlations and potential diversification benefits of commodities. We show better diversification benefits of the portfolio composed of the religio-sustainable index over the portfolio composed of the conventional S&P 500 index, especially during the financial crisis. The second chapter examined and compared the performance, the local correlations, and the diversification benefits between the various developed S&P and commodity indexes during the COVID-19 crisis. Religio-sustainable portfolios are developed using a comprehensive screening framework that integrates the currently practiced religious screening frameworks with aspects such as earning quality and sustainability. Our findings showed that our developed religio-sustainable indexes are generally less risky than the conventional one, and provide investors with better diversification benefits, especially the portfolio com- posed of the Standard and Poor religious plus earning quality index during most of the considered periods. The third chapter investigated the linkages between the stock market and sentiment scores of the main religio-sustainable companies in Europe and their respective sectors during the various phases of the COVID-19 pandemic. Our analysis provided evidence that the COVID-19 pandemic had a large effect on the European economic system, which differs according to the sector, region, and sustainability of the companies.